Zeng, Yan; Li, Zhongfei; Lai, Yongzeng - In: Insurance: Mathematics and Economics 52 (2013) 3, pp. 498-507
This paper studies an optimal investment and reinsurance problem incorporating jumps for mean–variance insurers within a game theoretic framework and aims to seek the corresponding time-consistent strategies. Specially, the insurers are allowed to purchase proportional reinsurance, acquire new...